| Publication | Date of Publication | Type |
|---|
Risk measures beyond frictionless markets
SIAM Journal on Financial Mathematics | 2024-06-18 | Paper |
Qualitative robustness of utility-based risk measures
Annals of Operations Research | 2024-06-04 | Paper |
Robust portfolio selection under recovery average value at risk
SIAM Journal on Financial Mathematics | 2024-05-06 | Paper |
An elementary proof of the dual representation of expected shortfall
Mathematics and Financial Economics | 2024-01-10 | Paper |
Fundamental theorem of asset pricing with acceptable risk in markets with frictions
Finance and Stochastics | 2023-07-06 | Paper |
Law-invariant functionals that collapse to the mean: beyond convexity
Mathematics and Financial Economics | 2022-07-15 | Paper |
Law-invariant functionals that collapse to the mean
Insurance Mathematics & Economics | 2021-06-21 | Paper |
Dual representations for systemic risk measures based on acceptance sets
Mathematics and Financial Economics | 2021-05-05 | Paper |
Law-Invariant Functionals on General Spaces of Random Variables
SIAM Journal on Financial Mathematics | 2021-05-04 | Paper |
Multi-utility representations of incomplete preferences induced by set-valued risk measures
Finance and Stochastics | 2021-04-29 | Paper |
Surplus-invariant risk measures
Mathematics of Operations Research | 2021-01-08 | Paper |
Stability properties of Haezendonck-Goovaerts premium principles
Insurance Mathematics & Economics | 2020-11-19 | Paper |
Existence, uniqueness, and stability of optimal payoffs of eligible assets
Mathematical Finance | 2020-05-14 | Paper |
| Market-consistent prices. An introduction to arbitrage theory | 2020-04-09 | Paper |
A continuous selection for optimal portfolios under convex risk measures does not always exist
Mathematical Methods of Operations Research | 2020-03-09 | Paper |
A simple characterization of tightness for convex solid sets of positive random variables
Positivity | 2018-10-04 | Paper |
Which eligible assets are compatible with comonotonic capital requirements?
Insurance Mathematics & Economics | 2018-08-28 | Paper |
Fatou property, representations, and extensions of law-invariant risk measures on general Orlicz spaces
Finance and Stochastics | 2018-04-06 | Paper |
Existence, uniqueness and stability of optimal portfolios of eligible assets
(available as arXiv preprint) | 2017-02-07 | Paper |
Diversification, protection of liability holders and regulatory arbitrage
Mathematics and Financial Economics | 2017-01-31 | Paper |
Measuring risk with multiple eligible assets
Mathematics and Financial Economics | 2015-03-24 | Paper |
Measuring risk with multiple eligible assets
Mathematics and Financial Economics | 2015-03-24 | Paper |
Law-invariant risk measures: extension properties and qualitative robustness
Statistics & Risk Modeling | 2015-01-22 | Paper |
Law-invariant risk measures: extension properties and qualitative robustness
Statistics & Risk Modeling | 2015-01-22 | Paper |
Beyond cash-additive risk measures: when changing the numéraire fails
Finance and Stochastics | 2014-11-14 | Paper |
Beyond cash-additive risk measures: when changing the numéraire fails
Finance and Stochastics | 2014-11-14 | Paper |
Capital requirements with defaultable securities
Insurance Mathematics & Economics | 2014-09-22 | Paper |
| Capital adequacy tests and limited liability of financial institutions | 2014-01-14 | Paper |
